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Conditional Phase-Type Distribution Under Doubly Stochastic Jump Markov Processes with Observed Covariates

Surya, Budhi - 2017

process. Some numerical examples in credit risk are performed to motivate the results. Numerical outcomes on default intensity …

Persistent link: https://www.econbiz.de/10012965202

Modelling Arbitration : Evaluating Risks and Settlements of Disputes Using Regret Theory

Galadari, Abdulla - 2013

or not to raise an arbitration case for a claim. It adds the ingredient of a regret theory approach for taking that … decision, if an amicable settlement amount is not agreed. Many other models that are based on decision trees, game theory, and … neural networks lack a regret theory approach. The inclusion of regret theory in this model may be adaptable to any other …

Persistent link: https://www.econbiz.de/10013092242

High Performance Quadrature Rules : How Numerical Integration Affects a Popular Model of Product Differentiation

Skrainka, Benjamin S.; Judd, Kenneth L. - 2011

Efficient, accurate, multi-dimensional, numerical integration has become an important tool for approximating the integrals which arise in modern economic models built on unobserved heterogeneity, incomplete information, and uncertainty. This paper demonstrates that polynomial-based rules...

Persistent link: https://www.econbiz.de/10014180903

PV and XVA Greeks for Callable Exotics by Algorithmic Differentiation

Antonov, Alexandre - 2017

We generalize the algorithmic differentiation method proposed by Antonov (2016) from price Greeks to XVA Greeks. This method, named Backward Differentiation (BD), was developed in the context of computing price or PV Greeks for individual callable exotic trades.We start by treating cases where...

Persistent link: https://www.econbiz.de/10012967129

The Free Boundary SABR : Natural Extension to Negative Rates

Antonov, Alexandre - 2015

In the current low-interest-rate environment, extending option models to negative rates has become an important issue. This paper describes one such extension of the widely used SABR model. We stress that our solution is more natural and attractive than the shifted SABR.An exact formula is...

Persistent link: https://www.econbiz.de/10013029226

Development of Predictive Maintenance Model for N-Component Repairable System Using NHPP Models and System Availability Concept

Srivastava, Nishit - 2016

The technologically intensive nature of the predictive maintenance (PdM) method restricts its use to companies with higher turnover. This research is aimed to propose a PdM model for an N-component repairable system by integrating non-homogeneous Poisson process (NHPP) models and a system...

Persistent link: https://www.econbiz.de/10012987116

Predictive Maintenance Using Modified FMECA Method

Srivastava, Nishit - 2016

This paper proposes a predictive maintenance policy using modified failure mode effect and criticality analysis (Mod-FMECA) technique. FMECA is used to identify failure modes, reasons, effects and criticality of the system (machine/plant) but in Mod-FMECA in addition to the analysis carried for...

Persistent link: https://www.econbiz.de/10012987127

MVA : Future IM for Client Trades & Dynamic Hedges

Antonov, Alexandre - 2018

Servicing clients can require posting Initial Margin (IM) for client trades, and for their hedges. IM should be forecast for both and reflected in MVA. For non-vanillas with dynamic hedges, forecasting hedge-trade IM is challenging as future hedge ratios are necessary, and future sensitivities...

Persistent link: https://www.econbiz.de/10012911423

Analytical Approximations for Short Rate Models

Antonov, Alexandre - 2010

In this article, we present the analytical approximation of zero-coupon bonds and swaption prices for general short rate models. The approximation is based on regular and singular expansions with respect to the small volatility and contains a low-dimensional integration. The model in hand...

Persistent link: https://www.econbiz.de/10013136997

Exposure & CVA for Large Portfolios of Vanilla Swaps : The Thin-Out Optimization

Antonov, Alexandre - 2012

In this article we present an efficient optimization for calculating the exposure and CVA for large portfolios of vanilla swaps. It is based on a "thin-out" procedure applied to fixed payment streams, which reduces a very frequent stream of payments to a much less frequent one. The procedure...

Persistent link: https://www.econbiz.de/10013099510